Pricing of swaps with default risk

被引：0

作者：

Li H. ^{[1
]}

机构：

[1] Johnson Graduate School of Management, Cornell University, Ithaca, 14853, NY

来源：

Review of Derivatives Research | 1998年 / 2卷 / 2-3期

关键词：

Contingent claim analysis; Credit risk; Currency swaps; Interest rate swaps;

D O I：

10.1007/BF01531336

中图分类号：

学科分类号：

摘要：

In this paper, I study the valuation of interest rate and currency swaps with default risk under the contingent claim analysis framework. I demonstrate that the traditional approach of pricing swap contracts as exchanges of loans underestimates the value of such contracts to the counterparty with higher credit rating and exaggerates the credit spread required to guard against default risk. Numerical simulations show that the swap rate is not sensitive to counterparty credit rating: for a ten year interest rate swap, a one hundred basis point increase in counterparty bond yield spread results in only about one basis point increase in the swap rate. © 1998 Kluwer Academic Publishers,.

引用

页码：231 / 250

页数：19

共 33 条

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